CLT for linear spectral statistics of high-dimensional sample covariance matrices in elliptical distributions

Yangchun Zhang, Jiang Hu and Weiming Li

Journal of Multivariate Analysis, 2022, vol. 191, issue C

Abstract: In this paper, we establish a new central limit theorem for the linear spectral statistics of high-dimensional sample covariance matrices. The underlying population belongs to the family of elliptical distributions, and the dimension of the population is allowed to grow to infinity, in proportion to the sample size. As an application, we construct confidence intervals for the model parameters of a Gaussian scale mixture.

Keywords: Confidence interval; Covariance matrix; Elliptical distribution; Gaussian scale mixture; High-dimensional data (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1016/j.jmva.2022.105007

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